NANR Options History — March 2021

In March 2021, NANR traded between $37.51 and $40.68. ATM implied volatility averaged 31.1%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.1% (HV 20d: 26.0%). Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-03-08: Highest Volume — 1 contracts
  • 2021-03-09: Largest IV spike — 53.9% change
  • 2021-03-09: Highest IV Rank — 26.2%
  • 2021-03-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.05$37.51$40.68$37.51$38.56
ATM IV31.1%21.8%44.6%36.2%21.8%
Expected Move8.6%6.3%10.8%10.4%6.3%
HV 20d26.0%24.1%28.7%26.2%24.2%
HV 60d28.3%27.9%29.0%29.0%27.9%
IV Rank17.6%11.7%26.2%20.8%11.7%
IV Percentile10.3%0.4%32.5%15.5%0.4%
Term Structure-1.8%-7.8%13.3%-7.6%2.3%
Skew 25d3.8%-7.5%14.0%1.9%2.5%
Skew 10d6.3%-10.1%18.6%5.3%3.7%
Call IV 25d28.9%19.5%42.3%41.2%19.7%
Put IV 25d32.7%22.2%44.0%43.1%22.2%
Bid-Ask Spread %148.46137.31161.02139.45154.72
Gamma HHI1.001.001.001.001.00
Net GEX53080079
Net DEX-1.8K-2.8K00-2.3K
Net VEX-7-1100-10
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0430100
Total OI0.7390101

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$37.51$0.0036.2%10.4%26.2%20.8%0.0%1.9%-7.6%0000.00139.45N/AN/A0000
2021-03-02$38.00$0.0036.8%10.5%25.8%21.2%0.0%3.0%-7.8%0000.00141.73N/AN/A0000
2021-03-03$38.10$0.0037.8%10.8%25.7%21.9%0.0%1.5%-7.7%0000.00140.79N/AN/A0000
2021-03-04$38.08$0.0040.2%9.7%25.2%23.4%0.0%14.0%-6.6%0000.00138.92N/AN/A0000
2021-03-05$39.27$0.0032.7%8.2%26.8%18.6%0.0%11.8%2.5%0000.00144.64N/AN/A0000
2021-03-08$39.33$0.0029.0%7.4%26.2%16.3%0.0%7.3%13.3%0000.00137.31N/AN/A1000
2021-03-09$39.20$0.0044.6%8.6%25.3%26.2%0.0%3.9%-1.2%65-2.5K-110.00155.20N/AN/A0010
2021-03-10$39.92$0.0029.1%8.3%25.6%16.3%0.0%6.7%1.5%64-2.6K-100.00152.84N/AN/A0010
2021-03-11$40.55$0.0028.6%8.2%25.9%16.0%0.0%5.1%0.0%66-2.8K-100.00153.78N/AN/A0010
2021-03-12$40.68$0.0029.5%8.5%25.4%16.6%0.0%4.5%-0.5%64-2.8K-100.00153.70N/AN/A0010
2021-03-15$40.61$0.0023.7%6.8%25.5%12.9%0.0%3.6%1.8%67-2.8K-100.00141.59N/AN/A0010
2021-03-16$39.90$0.0024.6%7.0%26.3%13.5%0.0%0.9%4.5%66-2.7K-100.00143.59N/AN/A0010
2021-03-17$40.29$0.0022.5%6.4%26.2%12.1%0.0%3.4%4.0%72-2.7K-100.00141.82N/AN/A0010
2021-03-18$39.04$0.0031.8%9.1%28.7%18.1%0.0%8.2%-1.4%63-2.5K-100.00146.46N/AN/A0010
2021-03-19$39.18$0.0025.5%7.3%28.3%14.0%0.0%2.3%1.7%68-2.4K-100.00144.58N/AN/A0010
2021-03-22$38.77$0.0033.2%9.5%26.5%19.0%0.0%2.1%-6.1%69-2.3K-100.00161.02N/AN/A0010
2021-03-23$37.85$0.0031.9%9.1%27.8%18.1%0.0%1.3%-6.5%72-2.2K-100.00154.11N/AN/A0010
2021-03-24$38.38$0.0029.0%8.3%27.3%16.3%0.0%-6.7%-7.5%76-2.3K-100.00151.05N/AN/A0010
2021-03-25$38.29$0.0032.1%9.2%25.3%18.2%0.0%2.4%-6.7%79-2.2K-100.00150.20N/AN/A0010
2021-03-26$39.09$0.0032.5%9.3%24.3%18.5%0.0%3.2%-4.1%79-2.4K-100.00158.84N/AN/A0010
2021-03-29$39.00$0.0026.8%7.7%24.1%14.9%0.0%12.5%-0.7%79-2.4K-100.00151.10N/AN/A0010
2021-03-30$38.56$0.0035.5%10.2%24.2%20.4%0.0%-7.5%-7.8%80-2.3K-100.00157.18N/AN/A0010
2021-03-31$38.56$0.0021.8%6.3%24.2%11.7%0.0%2.5%2.3%79-2.3K-100.00154.72N/AN/A0010